Collateral in Credit Rationing in Markets with Imperfect Information: Note
进一步探讨Stiglitz和Weiss（1981）信贷配给模型中抵押品的作用，证明即使借款人是风险中性的，提高抵押品要求也可能因逆向选择效应降低贷款人预期收益，从而可能导致信贷配给均衡。
In their 1981 article, Joseph Stiglitz and Andrew Weiss analyze adverse selection and incentive effects in the loan market. The models considered are based on two crucial assumptions: borrowers are subject to limited liability; and lenders cannot distinguish borrowers (projects) of different risk. Stiglitz and Weiss show that a bank that raises its interest rate may suffer adverse selection because only risky borrowers will be willing to borrow at the higher rate. Thus lenders may choose not to raise the interest rate to eliminate excess demand, resulting in the possibility of a rationing equilibrium. Stiglitz and Weiss also consider briefly the role of collateral in such credit rationing models. They conclude that lenders may choose not to use collateral requirements as a rationing device. An increase in collateral requirements, like an increase in the interest rate, potentially leads to a decrease in the lender's expected return on loans because of resulting adverse incentive and selection effects. The purpose of this note is to further investigate the role of collateral in these models. Stiglitz and Weiss' discussion in Section III establishes that adverse selection effects can result from increases in collateral when borrowers are risk averse. I will show by returning to a model they discussed earlier in Section I, that the adverse selection effects can also occur when borrowers are risk neutral. Stiglitz and Weiss outline a model to consider the use of collateral as a rationing device (Section III). In that model, all potential borrowers face the same array of risky projects; each potential borrower chooses (at most) one of those projects to undertake. The individuals are, by assumption, risk averse with decreasing absolute risk aversion, and possess different amounts of initial wealth. Thus, choice of project (if any) to undertake and the method of finance-selffinance from initial wealth or loan finance-will differ from one individual to the next. Stiglitz and Weiss show that, among those who undertake risky projects and who choose borrowing as the method of finance, wealthier individuals undertake riskier projects. An increase in collateral has two effects on the market for loans: those individuals who remain in the market will choose to undertake less-risky projects; and those individuals who drop out of the market are less-wealthy, low-risk borrowers. If the second effect is sufficiently strong, then increased collateral requirements will mean decreased expected returns for the lender. Thus, a credit rationing equilibrium may occur, since lenders may not choose to use collateral requirements (or the interest rate) to eliminate excess demand. The adverse selection effect just described does not occur in this model if the individuals are risk neutral. Consequently, the potential for a credit rationing equilibrium is limited to cases where borrowers are risk averse. To see that increases in collateral requirements can also result in adverse selection if borrowers are risk neutral, consider the model Stiglitz and Weiss used to analyze the adverse selection effects of increases in the interest rate (Section I, pp. 395-99). It differs from the Section III model discussed above in three ways. First, borrowers are risk neutral; second, all projects ar loan financed. The analogy to the Section III model is that no individuals have sufficient wealth to self-finance projects.' Third, in the Section